Have you gotten them to perform all three plays correctly? As in, nobody popped up in the wings to hiss that something was wrong? Each play has to be performed on the right set.
The 3rd one should give you a cutscene that tells you they're lowering the blimp prop. Then you can use the pegs in the center of that set to get to the top, and over on the left is your ride into the catwalks.
I hope that helps.